## ACSC/STAT 4703 - Fall 2017

#### ## Actuarial Models II This is the page where I post material related to the ACSC/STAT 4703 course I am teaching in FALL 2017.

• Office hours: Monday 10:30-11:30, Tuesday 13:00-14:00, Thursday 13:00-14:00
• Office: 102 Chase building
• If you want to come to my office at a different time please email me:tkenney@mathstat.dal.ca
• Midterm Exam: Thursday 19th October, in class.
• Here are some practice questions for the Midterm exam. Here are the model solutions.
• Here is the formula sheet for the midterm exam.
• Here are the midterm model solutions.
• Textbook: Loss Models: From Data to Decisions (Fourth Edition) by S. A. Klugman, H. J. Panjer and G. E. Wilmot, published by Wiley, 2012
• Additional reading Society of Actuaries, SHORT-TERM ACTUARIAL MATHEMATICS STUDY NOTE Available here.
• Additional reading Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (Fourth Edition), 2015, by Brown and Lennox
• Final Exam: Wednesday 13th December 12:00-15:00 Seminar room 227 Chase Building.
• Here are some Practice questions and model solutions. Here is the formula sheet for the final. You will also be provided with any necessary tables. No notes are permitted in the examination. Scientific calculators are permitted, but not graphical calculators.
• #### Handouts

Course Handout

(These are partly for my reference, so are not totally complete.)

#### Planned material

Lecture time is limited, so I plan to use it explaining concepts and giving examples, rather than reading the textbook. Therefore, to get the most out of each lecture, you should read the relevant material before the lecture. Here is the list of what I expect to cover in each lecture. This is subject to change - make sure to check regularly for changes.

Week beginning Tuesday Thursday Friday
4th September Introduction and Preliminaries
9 Aggregate Loss Models:
• 9.1 Introduction
• 9.2 Model choices
• 9.3 The compound model for aggregate claims
• 9.4 Analytic results
• 11th September
• 9.5 Computing the aggregate claims distribution
• 9.6 the recursive method
• 9.6.1 Applications to compound frequency models
• 9.6.2 Overflow/Underflow problems
• 9.6.3 Numerical stability
• 9.6.4 Continuous severity
• 9.6.5 Constructing arithmetic distributions
• 18th September
• 9.7 The impact of individual policy modifications on aggregate payments
• 9.8 The individual risk model
• 9.8 The individual risk model (cont.)
• 25th September 16 Model selection
• 16.3 Graphical comparison of density and distribution functions
• 16.4 Hypothesis tests
• 16.4 Hypothesis tests (cont.)
• Score based approaches - AIC, BIC
• 16.5 Model Selection
• 2nd October IRLRPCI 2 Types of short-term insurance coverage IRLRPCI 4 Loss Reserving
• 4.1 Introduction
• 4.2 How outstanding claim payments arise
• 4.3 Definition of terms
• 4.4 Professional considerations
• 4.5 Checking the data
• 4.6 Loss reserving methods
• 9th October
• 4.6 Loss reserving methods (cont.)
• 4.7 Discounting loss reserves
• Revision chapters 9, 16 IRLRCPI 2, 4 Revision chapters 9, 16 IRLRCPI 2, 4
16th October Revision chapters 9, 16 IRLRCPI 2, 4

MIDTERM

EXAMINATION

17 Introduction and limited fluctuation credibility
• 17.2 Limited fluctuation credibility theory
• 17.3 Full credibility
• 23rd October
• 17.4 Partial credibility
• 17.5 Problems with this approach
• 18 Greatest accuracy credibility
• 18.2 Conditional distributions and expectation
• 18.3 Bayesian methodology
• 18.5 The Buhlmann model
• 30th October
• 18.5 The Buhlmann model (cont.)
• 18.6 The Buhlmann-Straub model
• 18.7 exact credibility
• 19 Empirical Bayes parameter estimation
• 19.2 Nonparametric estimation
• 19.2 Nonparametric estimation (cont.)
• 19.3 Semiparametric estimation
• 6th November STUDY BREAK
13th November IRLRPCI 3 Ratemaking
• 3.1 Introduction
• 3.2 Objectives of ratemaking
• 3.3 Frequency and severity
• 3.4 Data for ratemaking
• 3.6 The exposure unit
• 3.7 The expected effective period
• 3.8 Ingredients of ratemaking
• 3.9 Rate changes
• 3.9 Rate changes (cont.)
• 20th November IRLRPCI 5 Intermediate topics
• 5.1 Individual risk rating plans
• 5.2 Increased limits factors
• 5.2 Increased limits factors (cont.)
• 5.3 Reinsurance
• 5.3 Reinsurance (cont.)
• 27th November Revision Revision Revision
4th December END OF LECTURES

#### Homework

 Assignment 1 Due Friday 29th September. Model Solutions Assignment 2 Due Friday 6th October. Model Solutions Assignment 3 Due Friday 13th October. Model Solutions Assignment 4 Due Friday 3rd November. Model Solutions Assignment 5 Due Friday 17th November. Model Solutions Assignment 6 Due Friday 24th November. Model Solutions Assignment 7 Due Thursday 30th November. Model Solutions